When I was in long horizon strategies, it always surprised me that similar teams at other firms didn't have anything particularly unique or special. My experience in HFT has been the complete opposite. When someone leaks a bit of their edge to me, the creativity blows me away.
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Aren't Hawkes processes a thing?
I’ve seen Hawkes processes proposed dozens of times for modelling high frequency processes, going back at least to when I started in the industry over a decade ago, but I’ve never seen them used in anger.
